I killed him mainly to fit in with the roleplay of my character, although that's not to say it still wasn't a tough choice.

If you're looking for a gameplay advantage, there really isn't any on either side. If you kill Paarthurnax, Delphine will make virtually any follower (ranging from Sven to Lydia) a Blade, which gives them a full set of Blades armour, and a Blades shield and sword. So if you're still fairly low-level, this could help quite a bit. On the other hand, if you don't kill Paarthurnax, there really is no advantage at all — he can grant you bonuses to some shouts, but you can take the bonuses and then kill him, anyway.